Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios

Continuous-time markowitz's problems in an incomplete market, with no-shorting portfolios

10.1007/978-3-540-70847-6-19

Saved in:
Bibliographic Details
Main Authors: Jin, H., Zhou, X.Y.
Other Authors: MATHEMATICS
Format: Conference or Workshop Item
Published: 2014
Subjects:
Arbitrage-free
Attainable wealth set
Backward stochastic differential equation
Continuous time
Incomplete market
Lagrange multiplier
Mean-variance portfolio selection
Replication
Online Access:http://scholarbank.nus.edu.sg/handle/10635/104548
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: National University of Singapore
Description
Summary:10.1007/978-3-540-70847-6-19

Similar Items